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South African Factor Data Library

Risk factors and the strategy based thereon are fast becoming an integral part of the global asset management landscape. This open-source library provides investors with a database of South African equity risk factors constructed as per international asset pricing literature. In particular, we construct seven Fama-French style factors including Size, Value, Momentum, Profitability, Investment, Low Volatility and Low Beta.

Full ALSI Universe Factors


  • Decile Factor Portfolios
  • Long-Only Factors
  • Long-Short Factors
  • Quintile Factor Portfolios

Size-Constrained ALSI Universe Factors


  • Decile Factor Portfolios
  • Long-Only Factors
  • Long-Short Factors
  • Quintile Factor Portfolios
  • Please see our 2016 research report Factor Investing in South Africa for a complete outline of the factor construction methodology. Otherwise, all datasets include a brief description of factors and the factor model.

    For more information on custom factor data or factor-based projects, contact us on ResearchAdmin@peresec.com.

    Latest file update: 28 February 2023

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    • Corporate Share Schemes
    • Wealth Managers and Stock Brokers
    • Private Clients
    Our Solutions
    • Trade Execution
    • Custody
    • Synthetic Prime Broking Services
    • Integrated Online Client Portal
    • Wealth Management
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    • Derivative Consulting and Structuring

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